Abstract
Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies structural parameters only partially is explicitly allowed for. The asymptotic properties of the identified parameters are derived. Moreover, tests for identification through heteroskedasticity are developed and their asymptotic distributions are provided. Monte Carlo simulations are used to explore the small sample properties of the asymptotically valid methods. Finally, the approach is applied to investigate the relation between the degree of economic openness and inflation.
| Original language | English |
|---|---|
| Pages (from-to) | 317-345 |
| Number of pages | 29 |
| Journal | Journal of Econometrics |
| Volume | 218 |
| Issue number | 2 |
| Early online date | 12 May 2020 |
| DOIs | |
| Publication status | E-pub ahead of print - 12 May 2020 |
Keywords
- Davies’ problem
- Heteroskedasticity
- Simultaneous equations models
- Testing for identification
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Lütkepohl, H., Milunovich, G., & Yang, M. (2020). Inference in partially identified heteroskedastic simultaneous equations models. Journal of Econometrics, 218(2), 317-345. https://doi.org/10.1016/j.jeconom.2020.04.019